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Time series

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 14 Dec 2007 03:23:30 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Dec/14/t1197626868zqbatxm4g0pit45.htm/, Retrieved Fri, 14 Dec 2007 11:07:50 +0100

User-defined keywords:

s0650550 s0650062

Dataseries X:

» Textbox « » Textfile « » CSV «

263418000000 262752000000 266433000000 267722000000 266003000000 262971000000 265521000000 264676000000 270223000000 269508000000 268457000000 265814000000 266680000000 263018000000 269285000000 269829000000 270911000000 266844000000 271244000000 269907000000 271296000000 270157000000 271322000000 267179000000 264101000000 265518000000 269419000000 268714000000 272482000000 268351000000 268175000000 270674000000 272764000000 272599000000 270333000000 270846000000 270491000000 269160000000 274027000000 273784000000 276663000000 274525000000 271344000000 271115000000 270798000000 273911000000 273985000000 271917000000 273338000000 270601000000 273547000000 275363000000 281229000000 277793000000 279913000000 282500000000 280041000000 282166000000 290304000000 283519000000

Text written by user:

Output produced by software:

Summary of compuational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	6.8557	0
1	-0.3159	-2.1657	0.982279
2	-0.230491	-1.5802	0.939612
3	0.246582	1.6905	0.048779
4	0.11359	0.7787	0.220019
5	-0.334736	-2.2948	0.986873
6	0.17767	1.218	0.114643
7	0.120348	0.8251	0.206752
8	-0.210992	-1.4465	0.922662
9	-0.06174	-0.4233	0.662984
10	0.263826	1.8087	0.038449
11	-0.191726	-1.3144	0.902456
12	-0.190364	-1.3051	0.900889
13	0.237263	1.6266	0.055255
14	-0.041712	-0.286	0.611918
15	-0.151769	-1.0405	0.848279
16	-0.029201	-0.2002	0.578903
17	0.205553	1.4092	0.08268
18	-0.164646	-1.1288	0.867636
19	0.120204	0.8241	0.207029
20	0.099328	0.681	0.24962
21	-0.103753	-0.7113	0.759792
22	-0.020078	-0.1376	0.554446
23	0.2289	1.5693	0.061648
24	-0.127513	-0.8742	0.806768
25	-0.084616	-0.5801	0.717691
26	0.034942	0.2395	0.405861
27	0.158025	1.0834	0.142087
28	-0.31698	-2.1731	0.982577
29	0.148174	1.0158	0.157455
30	0.124499	0.8535	0.198849
31	-0.153737	-1.054	0.851356
32	-0.038426	-0.2634	0.603317
33	0.133997	0.9186	0.181488
34	-0.179197	-1.2285	0.887314
35	-0.04233	-0.2902	0.61353
36	0.124103	0.8508	0.199596
37	-0.01307	-0.0896	0.535507
38	-0.055313	-0.3792	0.646879
39	0.016456	0.1128	0.455329
40	0.066494	0.4559	0.325296
41	-0.072005	-0.4936	0.68807
42	0.034629	0.2374	0.406688
43	-0.039221	-0.2689	0.605402
44	0.068572	0.4701	0.320226
45	-0.092786	-0.6361	0.736104
46	0.039145	0.2684	0.394796
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	-0.3159	-2.1657	0.982279
1	-0.366897	-2.5153	0.992315
2	0.039989	0.2742	0.392585
3	0.190919	1.3089	0.09847
4	-0.17193	-1.1787	0.877773
5	0.043483	0.2981	0.383469
6	0.051764	0.3549	0.362134
7	-0.064116	-0.4396	0.668865
8	-0.11978	-0.8212	0.792152
9	0.070089	0.4805	0.316549
10	-0.067605	-0.4635	0.677419
11	-0.195041	-1.3371	0.906192
12	-0.021309	-0.1461	0.557761
13	-0.067708	-0.4642	0.67767
14	0.013601	0.0932	0.463052
15	-0.217826	-1.4933	0.928985
16	0.024193	0.1659	0.434491
17	-0.009033	-0.0619	0.524557
18	0.196092	1.3443	0.092646
19	0.110862	0.76	0.225517
20	-0.025214	-0.1729	0.568248
21	0.067495	0.4627	0.322848
22	0.114508	0.785	0.218188
23	0.018114	0.1242	0.450851
24	-0.063497	-0.4353	0.667336
25	-0.152493	-1.0454	0.849417
26	0.082667	0.5667	0.286795
27	-0.254382	-1.744	0.956147
28	0.02856	0.1958	0.422805
29	0.06312	0.4327	0.333595
30	0.114406	0.7843	0.218392
31	0.032007	0.2194	0.413632
32	-0.035499	-0.2434	0.59561
33	-0.067145	-0.4603	0.676297
34	0.010573	0.0725	0.471262
35	-0.067908	-0.4656	0.678157
36	-0.113098	-0.7754	0.778995
37	0.092597	0.6348	0.264315
38	-0.065107	-0.4464	0.671304
39	-0.121967	-0.8362	0.796352
40	-0.025441	-0.1744	0.568855
41	-0.057365	-0.3933	0.652052
42	-0.034369	-0.2356	0.592625
43	-0.029798	-0.2043	0.580493
44	-0.009671	-0.0663	0.52629
45	-0.023667	-0.1623	0.5641
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/14/t1197626868zqbatxm4g0pit45/1jsc71197627808.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/14/t1197626868zqbatxm4g0pit45/1jsc71197627808.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/14/t1197626868zqbatxm4g0pit45/2v0oa1197627808.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/14/t1197626868zqbatxm4g0pit45/2v0oa1197627808.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(mytstat,lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(mytstat,lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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